Search Results

BIG DATA: POTENTIAL, CHALLENGES, AND IMPLICATIONS IN OFFICIAL STATISTICS,
Ogerta Elezaj and Dhimitri Tole, in CBU International Conference Proceedings (2018)
Keywords: big dataofficial statistics, tourism statistics, mobile position data,

Data Quality Imperatives for Data Migration Initiatives: A Guide for Data Practicioners,
Gerhard Längst, Jürgen Elsner and Anastasia Berzhanin, in Journal of Financial Transformation (2019)
Keywords: Data Migration; Data Analytics; Data Quality; Data Profiling; Data Non-Quality Costs; Large Data Sets: Modeling and Analysis

CLASSIFICATION OF THE FINANCIAL SUSTAINABILITY OF HEALTH INSURANCE BENEFICIARIES THROUGH DATA MINING TECHNIQUES,
Sílvia Rebouças, Daniele Oliveira, Rômulo Soares, Eugénia Ferreira and Maria José Gouveia, in Journal of Tourism, Sustainability and Well-being (2016)
Keywords: Data Mining; Logistic Regression; Classification Trees; Health Insurance

Application de la Classification Ascendante Hiérarchique à la Répartition des Ressources Budgétaires dans la Ville-Province de Kinshasa,
Denis-Robert Mputu Losala Lomo, from University Library of Munich, Germany (2022)
Keywords: Agglomerative Hierarchical Clustering, Decentralized Territorial Entities, Sharing, Reduction of inequalities, Distribution of ressource.

Feature Engineering for Anti-Fraud Models Based on Anomaly Detection,
Damian Przekop, in Central European Journal of Economic Modelling and Econometrics (2020)
Keywords: fraud detection, application fraud, feature engineering, anomaly detection, risk modeling

How Much Influencer Marketing is Undisclosed? Evidence from Twitter,
Daniel Ershov, Yanting He and Stephan Seiler, from C.E.P.R. Discussion Papers (2023)

Privacy and Data-Based Research,
Ori Heffetz and Katrina Ligett, in Journal of Economic Perspectives (2014)

Big Data: New Tricks for Econometrics,
Hal R. Varian, in Journal of Economic Perspectives (2014)

High-Dimensional Methods and Inference on Structural and Treatment Effects,
Alexandre Belloni, Victor Chernozhukov and Christian Hansen, in Journal of Economic Perspectives (2014)

Assessing External Validity in Practice,
Sebastian Galiani and Brian Quistorff, from National Bureau of Economic Research, Inc (2022)

Equilibrium Data Mining and Data Abundance,
Jerome Dugast and Thierry Foucault, from HEC Paris (2021)
Keywords: Big Data; Active Asset Management; Data Mining; Price Informativeness.

Credit Risk Analysis using Machine and Deep learning models,
Peter Martey Addo, Dominique Guegan and Bertrand Hassani, from Department of Economics, University of Venice "Ca' Foscari" (2018)
Keywords: Credit risk, Financial regulation, Data Science, Bigdata, Deep learning

Utilization and Development of Big Data for Official Statistics,
Jin-Myon Lee and Kayoung Park, from Korea Institute for Industrial Economics and Trade (2018)
Keywords: big data; traditional statistics; big data utilization; official statistics; statistical theory; statistical databases; data policy; Korea

Testing-Based Forward Model Selection,
Damian Kozbur, from Department of Economics - University of Zurich (2018)
Keywords: Model selection, forward regression, sparsity, hypothesis testing

Economic Surveillance using Corporate Text,
Tarek Hassan, Stephan Hollander, Aakash Kalyani, Markus Schwedeler, Ahmed Tahoun and Laurence van Lent, from Federal Reserve Bank of St. Louis (2024)
Keywords: text as data; natural language processing

Big Data Is a Big Deal But How Much Data Do We Need?,
Nikos Askitas, from Institute of Labor Economics (IZA) (2016)
Keywords: causality, social science, endogeneity, Big Data, prediction

Regulatory Learning: how to supervise machine learning models? An application to credit scoring,
Dominique Guegan and Bertrand Hassani, from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2017)
Keywords: Big Data; Credit scoring; machine learning; AUC; regulation

Regulatory Learning: how to supervise machine learning models? An application to credit scoring,
Dominique Guegan and Bertrand Hassani, from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2017)
Keywords: Financial Regulation; Algorithm; Big Data; Risk

Modelling Exchange Rates Volatility with Multivariate Long-Memory ARCH Processes,
G. Teyssiere, from Universite Aix-Marseille III (1995)
Keywords: TIME SERIES ; ECONOMETRICS ; FINANCIAL ECONOMICS

Inference and Dynamic Analyses of Non-stationarity of Real Interest Rate (in Korean),
Yun-Yeong Kim, in Economic Analysis (Quarterly) (2016)
Keywords: Nominal interest rate, Real interest rate trend, Endogeneity, Stochastic bubble trend, Monetary policy

Energy Use, Gross Domestic Production, and CO2 Emissions in Pakistan,
Zeeshan Arshad, Jazba Akbar, Amina Shareef and Yasmeen Samia, in Bulletin of Energy Economics (BEE) (2016)
Keywords: CO2 emissions, Energy use, GDP, Pakistan

Forecast Intervals for Inflation in Romania,
Mihaela Bratu, in Timisoara Journal of Economics (2012)
Keywords: forecast intervals; historical forecasts errors; root mean squared error (RMSE); relative variance; uncertainty

Análise da elasticidade de transmissão de preços no mercado brasileiro de algodão [Analysis of price transmission elasticity in the Brazilian cotton market],
Marisa Zeferino Barbosa, Mário A. Margarido and Sebastião Nogueira Junior, in Nova Economia (2002)
Keywords: cotton, the one price law, cointegration, international trade, price transmission

Inference for Support Vector Regression under ℓ1 Regularization,
Yuehao Bai, Hung Ho, Guillaume A. Pouliot and Joshua Shea, in AEA Papers and Proceedings (2021)

STATISTICAL ANALYSIS OF A COMPANY'S REVENUE USING TIME SERIES,
Alexandru Eugen Stătescu, in CBU International Conference Proceedings (2018)
Keywords: Financial and economic analysisRevenue, Time series, Adjustment function, Adjusting the model parameters,

Financial Markets Modelling,
Vladimir Tsenkov, in Economic Thought journal (2009)

Economic forecasting with the help of linear production function complex variable,
Ilyos Abdullaev, in European Journal of Business and Economics (2011)
Keywords: ForecastingEconomic Crisis, Adaptive Models,

Weather Derivatives,
Jan Pígl, in Acta Oeconomica Pragensia (2007)
Keywords: weather derivatives, pricing weather derivatives, time series

A Threshold Multivariate Model to Explain Fiscal Multipliers with Government Debt,
Leonardo Tariffi, in Econometric Research in Finance (2019)
Keywords: threshold models, non-linearity, public debt, fiscal multiplier

Outlier Detection, Seasonal Adjustment and Cycle Extraction in New Member States of European Union,
Dario Buono, in International Journal of Applied Econometrics and Quantitative Studies (2004)
Keywords: Seasonal adjustment, outlier detection and Demetra

Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study,
Mustafa Eratalay, from European University at St. Petersburg, Department of Economics (2012)
Keywords: Multivariate Stochastic Volatility, Estimation, Constant Correlations, Time Varying Correlations, Leverage

The Real Part of a Complex ARMA Process,
Ralph Bailey, from Department of Economics, University of Birmingham (2005)
Keywords: Complex ARMA processes; cycles; reciprocal polynomials; palindromic polynomials

Some identification problems in the cointegrated vector autoregressive model,
Soren Johansen, from Department of Economics and Business Economics, Aarhus University (2007)
Keywords: Identfication, cointegration, common trends

Exact rational expectations, cointegration, and reduced rank regression,
Soren Johansen and Anders Rygh Swensen, from Department of Economics and Business Economics, Aarhus University (2007)
Keywords: Exact rational expectations, Cointegrated VAR model, Reduced rank regression

An analysis of the indicator saturation estimator as a robust regression estimator,
Soren Johansen and Bent Nielsen, from Department of Economics and Business Economics, Aarhus University (2008)
Keywords: Empirical processes, Huber's skip, indicator saturation, M-estimator, outlier robustness, vector autoregressive process

On a numerical and graphical technique for evaluating some models involving rational expectations,
Soren Johansen and Anders Rygh Swensen, from Department of Economics and Business Economics, Aarhus University (2009)
Keywords: VAR models, cointegration, rational expectations

An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application,
Takamitsu Kurita, Heino Bohn Nielsen and Anders Rahbek, from Department of Economics and Business Economics, Aarhus University (2009)
Keywords: Cointegration, I(2), Piecewise linear trends, Likelihood analysis, US consumption

The analysis of nonstationary time series using regression, correlation and cointegration with an application to annual mean temperature and sea level,
Soren Johansen, from Department of Economics and Business Economics, Aarhus University (2010)
Keywords: Regression correlation cointegration, model based inference, likelihood inference, annual mean temperature, sea level

An extension of cointegration to fractional autoregressive processes,
Soren Johansen, from Department of Economics and Business Economics, Aarhus University (2011)
Keywords: Cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive model.

Some econometric results for the Blanchard-Watson bubble model,
Soren Johansen and Theis Lange, from Department of Economics and Business Economics, Aarhus University (2011)
Keywords: Time series, explosive processes, bubble models.

Statistical analysis of global surface air temperature and sea level using cointegration methods,
Torben Schmith, Soren Johansen and Peter Thejll, from Department of Economics and Business Economics, Aarhus University (2011)
Keywords: Sea level, mean annual temperature, forcing variables, cointegration.

Asymptotic theory for iterated one-step Huber-skip estimators,
Soren Johansen and Bent Nielsen, from Department of Economics and Business Economics, Aarhus University (2011)
Keywords: Huber-skip, iteration, one-step M-estimators, unit roots.

Unit Root Vector Autoregression with volatility Induced Stationarity,
Anders Rahbek and Heino Bohn Nielsen, from Department of Economics and Business Economics, Aarhus University (2012)
Keywords: Vector Autoregression, Unit-Root, Reduced Rank, Volatility Induced Stationarity, Term Structure, Double Autoregression

Times Series: Cointegration,
Soren Johansen, from Department of Economics and Business Economics, Aarhus University (2014)
Keywords: adjustment coefficients, cointegrating relations, cointegration, cointegrated vector autoregressive model, Dickey-Fuller distributions, error correction models, econometric analysis of macroeconomic data, likelihood inference, mixed Gaussian distribution, nonstationarity

Nonstationary ARCH and GARCH with t-distributed Innovations,
Rasmus Pedersen and Anders Rahbek, from Department of Economics and Business Economics, Aarhus University (2015)
Keywords: ARCH, GARCH, asymptotic normality, asymptotic theory, consistency, t-distribution, maximum likelihood, nonstationarity

Cointegration between trends and their estimators in state space models and CVAR models,
Soren Johansen and Morten Tabor, from Department of Economics and Business Economics, Aarhus University (2017)
Keywords: Cointegration of trends, State space models, CVAR models

Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models,
Soren Johansen and Anders Ryghn Swensen, from Department of Economics and Business Economics, Aarhus University (2021)
Keywords: Abstract, Exact rational expectations, Cointegrated VAR model, Reduced rank regression, Adjustment coefficients

Los ciclos económicos regionales en Colombia, 1986-2000,
Igor Esteban Zuccardi Huertas, from Banco de la República, Economía Regional (2002)
Keywords: Interrelación

COLOCAR MENOS CARTERA E INVERTIR EN TES: ¿UNA DECISIÓN ÓPTIMA?. ANÁLISIS DE LAS INVERSIONES EN LA BANCA COLOMBIANA, 1995-2003,
Romel Rodríguez Hernández, from Universidad de los Andes, Facultad de Economía, CEDE (2005)
Keywords: TES

Evolution and structure of unemployment in the metropolitan area of Cali 1988-1998. Does the unemployment rate present hysteresis?,
Carlos E. Castellar and José Ignacio Uribe, in Colombian Economic Journal (2005)
Keywords: Unemplyment rate,

Uma Aplicação de Modelos TAR para o Mercado de Carne de Frango no Brasil,
Leonardo de Mattos, Viviani Lirio, João Eustáquio de Lima and Antônio Carvalho Campos, in Economia (2010)
Keywords: Co-integração; integração de mercados; carne de frango; threshold; modelos TAR

Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model,
Niels Møller, from Kiel Institute for the World Economy (IfW Kiel) (2008)
Keywords: Cointegrated VAR, unit root approximation, economic theory models, expectations, general equilibrium, DSGE models

Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model,
Niels Møller, in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) (2008)
Keywords: Cointegrated VAR, unit root approximation, economic theory models, expectations, Hybrid New Keynesian Phillips Curve, general equilibrium

Identifying Proxy VARs with Restrictions on the Forecast Error Variance,
Tilmann Härtl, from Verein für Socialpolitik / German Economic Association (2022)

The smoothing of financial markets indices time series with polygonal numbers method,
Yury Agranovich, Natalya Kontsevaya and Vladimir Khatskevich, in Applied Econometrics (2010)
Keywords: Smoothing; polygonal numbers; weight factors; the moving averaging

The Statistical Analysis of the Consumer Attitudes toward the Hospitality Services from Romania,
Ramona Vasilescu and Saierli Olivia, in Ovidius University Annals, Economic Sciences Series (2010)
Keywords: consumer, hospitality services, Helmert unvaried test

An EWMA model application for quality control analysis in the production of primary aluminium: CVG-Venalum case,
Marianela Luzardo Briceño, in Economía (2006)
Keywords: aluminium, arima, weigh exponential moving averages, fluoride, reduction

Valid Inference in Partially Unstable GMM Models,
Hong Li and Ulrich Mueller, from University Library of Munich, Germany (2006)
Keywords: Structural Breaks; Parameter Stability Test; Contiguity; Euler Condition; New Keynesian Phillips Curve

Political Decisions, Defence and Growth,
Oya Erdogdu, from University Library of Munich, Germany (2007)
Keywords: Defense; Political Stability; Growth; VAR

The impact of the real exchange rate on non-oil exports. Is there an asymmetric adjustment towards the equilibrium?,
Fakhri Hasanov, from University Library of Munich, Germany (2012)
Keywords: Asymmetric adjustment; Threshold autoregressive; Momentum-threshold autoregressive; Exchange Rate; Non-oil Export; Azerbaijan Economy

The seasonal KPSS Test: some extensions and further results,
Ghassen El Montasser, from University Library of Munich, Germany (2014)
Keywords: KPSS test, deterministic seasonality, Brownian motion, LM test

The seasonal KPSS Test: some extensions and further results,
Ghassen El Montasser, from University Library of Munich, Germany (2014)
Keywords: KPSS test, deterministic seasonality, Brownian motion, LM test

Endogenous Money, Output and Prices in India,
Rituparna Das, from University Library of Munich, Germany (2009)
Keywords: Money, Output, Price, WPI, IIP, Credit, Commercial Bank, Endogeneity

Financial Market Dynamics: Superdiffusive or not?,
Sandhya Devi, from University Library of Munich, Germany (2016)
Keywords: Keywords: Tsallis distribution; stock market dynamics; Maximum Likelihood Estimate; nonlinear Fokker-Plank equation; superdiffusion; econophysics

Estudio del fenómeno de inflación importada vía precios del petróleo y su aplicación al caso colombiano mediante el uso de modelos VAR para el periodo 2000-2009,
Heivar Yesid Rodríguez Pinzón, in Estudios Gerenciales (2011)
Keywords: Inflación, inflación importada, modelos VAR, precios del petróleo, Colombia.

The Likelihood of a Continuous-time Vector Autoregressive Model,
J. Roderick McCrorie, from Queen Mary University of London, School of Economics and Finance (2000)
Keywords: Continuous-time, Vector autoregression, Exact likelihood, Time series

Assessment Of The Elasticity Of Republic Of Bulgaria’s Foreign Trade In Energy Resources By Means Of The Almon Model,
Lyubomir Lyubenov, in Business & Management Compass (2013)

A simple test for the equality of integration orders,
Javier Hualde, in Economics Letters (2013)
Keywords: Integration orders; Fractional differencing; Fractional cointegration;

Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility,
Dukpa Kim, in Economics Letters (2014)
Keywords: Heteroskedasticity; Local scale; Iteratively reweighted least squares;

A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables,
Anders Rygh Swensen, in Journal of Econometrics (2011)
Keywords: VAR models; Reduced rank; Stationary regressors; Bootstrap;

Regression-based analysis of cointegration systems,
Javier Gomez-Biscarri and Javier Hualde, in Journal of Econometrics (2015)
Keywords: Cointegrating space; Phillips’ triangular form; Johansen’s methodology; Regression-based cointegration testing;

Causality between economic growth and energy consumption in Croatia,
Tomislav Gelo, in Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics (2009)
Keywords: GDP, growth, energy, consumption, Granger causality

The Liquidity Effect: Identifying Permanent and Transitory Components of Money Growth,
William Crowder, from University Library of Munich, Germany (1997)
Keywords: liquidity effect, cointegration, structural VAR

The Multivariate DCC-GARCH Model with Interdependence among Markets in Conditional Variances’ Equations,
Marcin Faldzinski and Michal Pietrzak, from Institute of Economic Research (2015)
Keywords: DCC-GARCH model, interdependence, conditional variance

Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions,
Hyungsik Moon and Frank Schorfheide, from Institute of Economic Policy Research (IEPR) (2006)
Keywords: Empirical Likelihood Estimation, Generalized Method of Moments, Inequality Moment Conditions, Instrumental Variable Estimation, Monetary Policy Rules

Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions,
Frank Schorfheide and Hyungsik Moon, from C.E.P.R. Discussion Papers (2006)
Keywords: Empirical likelihood estimation; Generalized method of movements; Inequality moment conditions; Instrumental variable estimation; Monetary policy rules

Measuring international business cycles by saving for a rainy day,
Mario Crucini and Mototsugu Shintani, in Canadian Journal of Economics (2015)

Canadian monetary policy analysis using a structural VARMA model,
Mala Raghavan, George Athanasopoulos and Param Silvapulle, in Canadian Journal of Economics (2016)

The Chang-Kim-Park Model of Cointegrated Density-Valued Time Series Cannot Accommodate a Stochastic Trend,
Brendan Beare, in Econ Journal Watch (2017)
Keywords: Nonstationarity, cointegration, functional time series.

Modelos de predicción para la inflación de Chile,
Byron Idrovo and Mauricio Tejada, from University Library of Munich, Germany (2010)
Keywords: Inflación; curva de phillips; series de tiempo

The estimation of continuous time models with mixed frequency data,
Marcus Chambers, in Journal of Econometrics (2016)
Keywords: Continuous time; Mixed frequency data; Exact discrete time models; Stock and flow variables;

The exact discretisation of CARMA models with applications in finance,
Michael Thornton and Marcus Chambers, in Journal of Empirical Finance (2016)
Keywords: Continuous time ARMA process; Discrete time representation; Present value; Term structure;

Separating the wheat from the chaff: A disaggregate analysis of the effects of public spending in the US,
Hafedh Bouakez, Denis Larocque and Michel Normandin, in Canadian Journal of Economics (2018)

A VECM Model of Stockmarket Returns,
Nagaratnam J Sreedharan, from Econometric Society (2004)
Keywords: Cointegration (CI); VECM; VAR; return generation process (RGP).

SURGAT Seasonal Unit Roots Graphical Analysis and Testing device,
Ignacio Díaz-Emparanza, from University Library of Munich, Germany (2004)
Keywords: Seasonality, HEGY, Canova-Hansen

Yet another look at MIDAS regression,
Philip Hans Franses, from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
Keywords: high frequency, low frequency, MIDAS regression

The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics,
Anthony Garratt, Kevin Lee and Kalvinder Shields, in Canadian Journal of Economics (2018)

A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects,
Clifford Hurvich and Yi Wang, from University Library of Munich, Germany (2009)
Keywords: Tick Time; Long Memory Stochastic Duration; Information Share

Unveiling the Carbon Footprint of Europe and Central Asia: Insights into the Impact of Key Factors on CO2 Emissions,
Muhammad Tufail Khan and Muhammad Imran, from University Library of Munich, Germany (2023)
Keywords: Carbon emissions; Economic growth; Renewable energy; FDI inflows; Industry value added, Population density; ARDL estimator.

Identification of Structural Vector Autoregressions by Stochastic Volatility,
Dominik Bertsche and Robin Braun, from Verein für Socialpolitik / German Economic Association (2018)
Keywords: Structural Vector Autoregression (SVAR), Identification via heteroskedasticity, Stochastic Volatility, Proxy SVAR